Iterative semi‐continuous relaxation heuristics for the multiple‐choice multidimensional knapsack problem

Recently several hybrid methods combining exact algorithms and heuristics have been proposed for solving hard combinatorial optimization problems. In this paper, we propose new iterative relaxation‐based heuristics for the 0–1 Mixed Integer Programming problem (0–1 MIP), which generate a sequence of lower and upper bounds. The upper bounds are obtained from relaxations of the problem and refined iteratively by including pseudo‐cuts in the problem. Lower bounds are obtained from the solving of restricted problems generated by exploiting information from relaxation and memory of the search process. We propose a new semi‐continuous relaxation (SCR) that relaxes partially the integrality constraints to force the variables values close to 0 or 1. Several variants of the new iterative semi‐continuous relaxation based heuristic can be designed by a given update procedure of multiplier of SCR. These heuristics are enhanced by using local search procedure to improve the feasible solution found and rounding procedure to restore infeasibility if possible. Finally we present computational results of the new methods to solve the multiple‐choice multidimensional knapsack problem which is an NP‐hard problem, even to find a feasible solution. The approach is evaluated on a set of problem instances from the literature, and compared to the results reached by both CPLEX solver and an efficient column generation‐based algorithm. The results show that our algorithms converge rapidly to good lower bounds and visit new best‐known solutions.